Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...
Journal of Economic Integration, Vol. 30, No. 1 (March 2015), pp. 172-205 (34 pages) In this paper, we use the copulas functions in financial application, namely to examine the assumption of ...
This paper investigates the sampling behavior of the quasi-maximum likelihood estimator of the Gaussian GARCH(1,1) model. The rescaled variable (the ratio of the disturbance to the conditional ...
We apply vine copulas with generalized autoregressive conditional heteroscedasticity (GARCH) marginals to the problem of capturing asset dependence and tail dynamics for currency and commodity ...
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